Scholars propose the VGRSI indicator and complete small-sample backtesting validation
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Rafał Rak proposed VGRSI, a causal relative strength indicator based on visibility graphs, which filters and implicitly weights price increments through backward natural visibility, outputting an indicator value in the 0-100 range. The indicator achieved positive cumulative net profit in a rolling forward backtest over 503 trading days from 2024-2025 across three instruments: DJI30, EUR/USD, and XAU/USD, while the classic RSI strategy and a VGRSI variant without visibility filtering both recorded cumulative losses over the same period. As the sample covers only three instruments and a single historical period, the backtest results are labeled as preliminary conclusions.
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- arXiv q-finVisibility Graph-Based Relative Strength Index VGRSI for Financial Market Decision-Making
The study proposes a causal relative strength index VGRSI based on visibility graphs, which filters and implicitly weights price increments through backward natural visibility, outputting an indicator value in the 0-100 range. The indicator achieved positive cumulative net profit in a rolling forward backtest over 503 trading days from 2024-2025 across DJI30, EUR/USD, and XAU/USD, while the classical RSI strategy and a VGRSI variant without visibility screening both recorded cumulative losses over the same period. As the sample covers only three instruments and a single historical period, the results are labeled as preliminary.
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